Publications

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Towards Optimal Policy Improvement

Yaniv Oren, Viliam Vadocz, Wiktor Zabka, Thomas Evers, Jan Robine, Wendelin Böhmer, Matthijs T. J. Spaan, Martha White, Hendrik Baier, Fenghui Yu

Explicit Signal-Adaptive Sequential Optimal Execution Quotes

Fenghui Yu

Fill Probabilities in a Limit Order Book with State-Dependent Stochastic Order Flows

Felix Lokin, Fenghui Yu

Reinforcement Learning-based Hierarchical Planning for Multi-Vehicle Coordination in Mixed Unsignalized Intersections

Junhong Dai, Yue Cui, Fenghui Yu, Chao Huang, Panshuo Li

Optimal Pairs Trading Strategies: a Stochastic Mean-Variance Approach

Feng-Hui Yu, Wai-Ki Ching, Chu-Fang Wu, Jia-Wen Gu

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Optimal Pairs Trading with Dynamic Mean-Variance Objective

Dong-Mei Zhu, Jia-Wen Gu, Feng-Hui Yu, Tak-Kuen Siu, Wai-Ki Ching

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How correlation risk in basket credit derivatives might be priced and managed?

Dong-Mei Zhu, Jia-Wen Gu, Feng-Hui Yu, Wai-Ki Ching, Tak-Kuen Siu

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Pricing Participating Policies Under Hidden Markov Models via Neural Networks

Tak-Kuen Siu, Feng-Hui Yu, Qing-Qing Yang, Jia-Wen Gu, Wai-Ki Ching

Modeling Credit Risk with Hidden Markov Default Intensity

Feng-Hui Yu, Jie-Jun Lu, Jia-Wen Gu, Wai-Ki Ching

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On Pricing, Hedging and Trading in Financial Management

Feng-Hui Yu

Interacting default intensity with a hidden Markov process

Feng-Hui Yu, Wai-Ki Ching, Jia-Wen Gu, Tak-Kuen Siu

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